Barclays 2013 Annual Report Download - page 194

Risk review
Market risk continued
The daily average, maximum and minimum values of Management VaR
For the year ended 31 December 2013 2012
Management VaR (95%) Average
£m
Higha
£m
Lowa
£m
Average
£m
Higha
£m
Lowa
£m
Credit risk 18 2 5 1 2 26 4 4 1 8
Interest rate risk 13 2 4 6 14 2 3 7
Spread risk 11 2 1 5 23 3 1 1 7
Basis risk 11 1 7 7 11 2 1 5
Equity risk 11 2 1 5 9 1 9 4
Commodity risk 5 8 2 6 9 4
Foreign exchange risk 4 7 2 6 1 0 2
Inflation risk 3 8 2 3 7 2
Diversification effecta(47) n/a n/a (60) n/a n/a
Total Management VaR 29 3 9 2 1 38 7 5 2 7
The three main contributors to total Management VaR were credit, interest rate and spread risks. From average 2012 levels, average VaR for
credit risk fell by £8m (31%), interest rate risk fell by £1m (7%) and spread risk fell by £12m (52%). Overall average VaR for the Investment Bank
fell by £9m (24%).
Equity risk VaR is the only risk factor that has shown an increase since 2012 as the business supported several key primary market activities over
the year as well as increased volume.
The business remained within the Management VaR limits approved by the Board Financial Risk Committee (BFRC) throughout 2013 for both risk
factor VaR and total VaR.
Investment bank management VaR
2012 2013 2014
80
60
40
20
0
2013
2012
>£100m
52
£80m to
£100m
26
5
£60m to
£80m
64
52
£40m to
£60m
67
87
£20m to
£40m
61
71
£0m to
£20m
8
28
(£20m)
to £0m
74
<(£20m)
14 11
Investment bank daily trading revenue
100
80
60
40
20
0
The histogram above shows the distribution of daily revenue for the Investment Bank in 2013 and 2012. This includes all income generated by
Investment Bank except for Private Equity and Principal Investments. Business performance is discussed in more detail on pages 260 and 261.
The average daily revenue at the Investment Bank in 2013 was £41m, down 11% from 2012, however, there were more positive trading revenue
days in 2013 than in 2012, with 97% of days generating positive trading revenue compared to 88% in 2012. The volatility of income was lower in
2013, in line with the decrease in average Management VaR and lower market volatility.
Note
a The high and low VaR figures reported for each category did not necessarily occur on the same day as the high and low VaR reported as a whole. Consequently a diversification
effect balance for the high and low VaR figures would not be meaningful and is therefore omitted from the above table.
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192 Barclays PLC Annual Report 2013